| In China,earthquake CAT insurance(mainly residential earthquake CAT insurance)has begun in our country gradually started.China's domestic insurance companies in 2015 to set up a residential earthquake community,the CIRC and the Ministry of Finance issued in 2016 related to the implementation of the program,and in the official sales of residential earthquake catastrophe insurance,which shows that China's earthquake CAT risk.The market is officially launched,the risk of earthquake CAT has a new source,in order to maintain market stability,reduce operational risk,the risk will be further dispersed,earthquake CAT insurance will be derived from the earthquake CAT bonds.Although the same are based on the risk of earthquake CAT,but the catastrophe bonds in the form of catastrophe insurance is still a big difference.In order to explore the pricing law of earthquake CAT bond,in this paper,the risk of earthquake CAT is taken as the object of study,and an earthquake disaster data is designed based on the data of earthquake disaster in mainland China from 1990 to 2015,further analysed the effects of different variables after the pricing results are obtained.This paper first introduces the operational mechanism of the CAT bond,introduces the triggering mechanism and the market participants in the CAT bond.In order to adapt to the more complex risk Demand,the CAT bonds use the hybrid trigger mechanism(or multi-event trigger mechanism);in order to weaken the heavy tail to the final In addition to using the common right deviation distribution,the GPD distribution is used to fit the economic loss.The result is that the fitting effect of the heavy tail part is good.After getting marginal distribution of economic loss and earthquake magnitude,the Frank Copula function is used to establish the joint distribution function according to the distribution rule of data and the square Euclidean distance of empirical Copula.This paper uses the CIR stochastic interest rate model to express the variable risk-free interest rate by designing the earthquake CAT bond.By referring to the LFC model,the Wang two-factor model and the Christofides model,the pricing model in the equilibrium pricing theory is finally adopted As China's earthquake CAT bond pricing model,through the R program design,and finally got the earthquake CAT bond pricing results.After the pricing analysis,the impact of the trigger value and the risk-free interest rate on the pricing is mainly discussed.The effect of the trigger value on the pricing is much higher than the risk-free interest rate,and the difference of the risk exposure is different.At the end of this paper,it is concluded that the hybrid trigger mechanism can fully reflect the price of earthquake CAT bonds,and the fat tail property is still a factor that can not be ignored when determining the price.The influence of the loss model,trigger value and risk-free interest rate on the final price gradually decreases,the current issue of China's earthquake CAT bonds should be mainly short-term and the corresponding policy recommendations from the viewpoints of difficulty and liquidity,and that the main task of our country is to continue to develop insurance and capital markets,So as to improve the supply and demand of the risk of CAT in China,and to strengthen the supervision of the industry on the basis of the relaxation of the insurance business to deal with the risk of earthquake CAT restrictions,in the residential earthquake insurance sales of more types of insurance,Improve the enthusiasm of insurance companies and reinsurance companies. |
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